✨ Credit Risk IRB Approach
NEW ZEALAND GAZETTE, No. 88
24 JUNE 2011
Credit risk subject to the IRB approach
(1) The information in subclauses (2) and (4)—
(a) in respect of the capital of the banking group; and
(b) derived in accordance with either the conditions of registration relating to capital adequacy or Capital Adequacy Framework (Internal Models Based Approach) (BS2B) (as applicable).
(2) For each exposure class where the IRB approach is applied the following information at the off-quarter balance date:
| Name of exposure class | Exposure amounts | Exposure-weighted LGD (%) used for the capital calculation | Exposure-weighted risk weight (%) | Risk weighted assets | Minimum capital requirement |
|---|---|---|---|---|---|
| Exposure-weighted PD grade 1 (%) | |||||
| Exposure-weighted PD grade 2 (%) | |||||
| ... | |||||
| Default PD grade | |||||
| AGGREGATE | TOTAL EXPOSURES | AGGREGATE EXPOSURE-WEIGHTED LGD GRADE (%) | AGGREGATE EXPOSURE-WEIGHTED RISK WEIGHT (%) | TOTAL Risk weighted assets | TOTAL Minimum capital requirement |
| EXPOSURE-WEIGHTED PD GRADE |
(3) For the purpose of the disclosure required by subclause (2):
(a) the exposure-weighted value of an item in any box of the table is calculated as the sum, across each exposure falling within that box, of the following amount:
(value of that item for that exposure) x (value of that exposure)
(total value of all exposures falling within that box);
and
(b) the PD grades must either be those used internally for rating exposures in that exposure class or aggregated from those used internally, provided that where PD grades are aggregated:
(i) the disclosure must be based on a minimum of five non-default aggregated PD grades and one default aggregated PD grade; and
(ii) the aggregated PD grades should be reasonably evenly distributed across the range of PD grades used in the internal rating system; and
(iii) the PD disclosed for each aggregated grade must be the exposure-weighted average of the PDs included in the aggregation; and
(c) the exposures disclosed must comprise outstanding loans, and EAD on undrawn commitments and other off-balance sheet exposures that are used in the calculation of regulatory capital; and
(d) risk-weighted assets and minimum capital requirements must be the amounts after multiplying by the scalar (if applicable).
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NZ Gazette 2011, No 88
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Credit risk subject to the IRB approach
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💰 Finance & RevenueCredit risk, IRB approach, Banking, Capital adequacy, Financial regulation